If you don't want to drop the cash, then don't. You really don't have to join a gym if you don't want. You can work out in and around your home.
It doesn't cost a thing to walk/run around your neighborhood, or to do push-up, squats, and crunches at home.
But there is a third method, kind of a hybrid of the two. Visit you city or county rec center. They've recently completed a new indoor pool on the grounds of the former outdoor pool, blocks from where I live. It's great! But the thing of it is, I don't have to spend a dime. It's a city pool. Taxes, yes taxes, take care of it. If I have friends from over the state line that want to swim, they pay $3.

Here's a picture of my neighborhood pool. Depending on what time a day or evening you go, the place is almost empty. It's almost like having your own private pool! But wait, there's more. Outside the pool is a small weight room. Nothing fancy, buy you can get the job done. Combining free weights and a pool workout is great. You get in shape fast and it keeps you from getting bored.
If you can't swim, no big deal. Most city/county pools have swim classes. They even have water aerobics. And did I mention our local pool is heated? It's a great deal all the way around, but for free, it's an exceptional deal.
Now, here are a few vids that might help you use a local pool to get yourself into great shape.
http://www.youtube.com/watch?v=7oQu2teJ3Ow&feature=related
http://www.youtube.com/watch?v=cvQ5LqJk7pc
http://www.youtube.com/watch?v=nVnhkY4Ew30
Okay, now look, I did not pick these vids because they featured great looking women, but...
The key thing to remember is getting yourself in shape is all a part of how you are going to approach life. You can get the most out of life, and become the exceptional person you want to be when you have good health. You'll enjoy better health, if you get, and keep, yourself in shape. Getting in shape will also help the way others view you and the way you view yourself.
So whatever way works for you, get out there and get started.